2023/02/10 by Will Hicks, Hicks, Will
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Markets and Investment Strategies #Mathematical Finance (q-fin.MF) #Primary 81S25 #Secondary 91G20 #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2302.05243
openalex publication_date 2023/02/10 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Quantum Stochastic Calculus can be used as a means by which randomness can be introduced to observables acting on a Hilbert space. In this article we show how the mechanisms of Quantum Stochastic Calculus can be used to extend the classical Black-Scholes framework by incorporating a breakdown in the liquidity of a traded asset. This is captured via the widening of the bid offer spread, and the impact on the nature of the resulting probability distribution is modelled in this work.